Decisions in Economics and Finance

1978 - 2022

Current editor(s): Paolo Ghirardato

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Springer
Associazione per la Matematica
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Volume 45, issue 2, 2022

Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the control of dynamical systems pp. 451-480

Rosario Maggistro, Paolo Pellizzari, Elena Sartori and Marco Tolotti

Equalizing solutions for bankruptcy problems revisited pp. 481-502

José Alcalde and Josep E. Peris

Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification pp. 503-519

David Barilla, Giuseppe Caristi and Nader Kanzi

The robustness of the generalized Gini index pp. 521-539

S. Settepanella, A. Terni, M. Franciosi and L. Li

Two representations of information structures and their comparisons pp. 541-547

Jerry R. Green and Nancy L. Stokey

Introduction to the Milestones series pp. 549-549

Marco LiCalzi

Bipartite choices pp. 551-568

Marco LiCalzi

Volume 45, issue 1, 2022

Calibration to FX triangles of the 4/2 model under the benchmark approach pp. 1-34

Alessandro Gnoatto, Martino Grasselli and Eckhard Platen

Monetary risk measures for stochastic processes via Orlicz duality pp. 35-56

Christos E. Kountzakis and Damiano Rossello

Option pricing: a yet simpler approach pp. 57-81

Jarno Talponen and Minna Turunen

Complex dynamics in the market for loans pp. 83-99

Nivedita Mukherji

Expressions of forward starting option price in Hull–White stochastic volatility model pp. 101-135

Hiroaki Hata, Nien-Lin Liu and Kazuhiro Yasuda

Bias-optimal vol-of-vol estimation: the role of window overlapping pp. 137-185

Giacomo Toscano and Maria Cristina Recchioni

Portfolio choice in the model of expected utility with a safety-first component pp. 187-207

Dennis W. Jansen and Liqun Liu

A new class of multidimensional Wishart-based hybrid models pp. 209-239

Gaetano La Bua and Daniele Marazzina

Production and hedging under correlated price and background risks pp. 241-256

Kit Pong Wong

Long versus short time scales: the rough dilemma and beyond pp. 257-278

Matthieu Garcin and Martino Grasselli

Beating the market? A mathematical puzzle for market efficiency pp. 279-325

Michael Heinrich Baumann

Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption pp. 327-341

P. Gatabazi, J. C. Mba and E. Pindza

Performance measurement with expectiles pp. 343-374

Damiano Rossello

Ramsey rule with forward/backward utility for long-term yield curves modeling pp. 375-414

Nicole El Karoui, Caroline Hillairet and Mohamed Mrad

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders pp. 415-446

Paolo Angelis, Roberto Marchis, Antonio L. Martire and Emilio Russo

Correction to: Semi-analytical prices for lookback and barrier options under the Heston model pp. 447-449

Luca Gennaro Aquino and Carole Bernard

Volume 44, issue 2, 2021

Nonlinear dynamics in economic modelling pp. 485-487

Laura Gardini, Fabio Lamantia, Davide Radi, Ferenc Szidarovszky and Fabio Tramontana

CSR leadership, spillovers, and first-mover advantage pp. 489-505

Michael Kopel

A note on symmetry breaking in a non linear marketing model pp. 507-531

Andrea Caravaggio, Lorenzo Cerboni Baiardi and Mauro Sodini

Delay dynamics in nonlinear monopoly with gradient adjustment pp. 533-557

Akio Matsumoto and Ferenc Szidarovszky

Hybrid dynamics of multi-species resource exploitation pp. 559-577

Davide Radi, Fabio Lamantia and Tomáš Tichý

Learning in a double-phase cobweb model pp. 579-611

Fausto Cavalli, Ahmad Naimzada and Lucia Parisio

Dynamics of a business cycle model with two types of governmental expenditures: the role of border collision bifurcations pp. 613-639

Mauro Gallegati, Laura Gardini and Iryna Sushko

Speculative asset price dynamics and wealth taxes pp. 641-667

Sarah Mignot, Fabio Tramontana and Frank Westerhoff

A revised version of the Cathcart & El-Jahel model and its application to CDS market pp. 669-705

Davide Radi, Vu Phuong Hoang, Gabriele Torri and Hana Dvořáčková

Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach pp. 707-726

Giovanni Campisi, Silvia Muzzioli and Fabio Tramontana

Cross-section instability in financial markets: impatience, extrapolation, and switching pp. 727-754

Roberto Dieci and Xuezhong (Tony) He

Envy effects on conflict dynamics in supervised work groups pp. 755-779

Arianna Dal Forno and Ugo Merlone

Blockchain and cryptocurrencies: economic and financial research pp. 781-787

Alessandra Cretarola, Gianna Figà-Talamanca and Cyril Grunspan

Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective pp. 789-816

Jihed Majdoub, Salim Ben Sassi and Azza Bejaoui

Investigating the relationship between volatilities of cryptocurrencies and other financial assets pp. 817-843

Achraf Ghorbel and Ahmed Jeribi

Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies pp. 845-861

Nikolaos A. Kyriazis

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages pp. 863-882

Gianna Figá-Talamanca, Sergio Focardi and Marco Patacca

Betting on bitcoin: a profitable trading between directional and shielding strategies pp. 883-903

Paolo Angelis, Roberto Marchis, Mario Marino, Antonio Luciano Martire and Immacolata Oliva

Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume pp. 905-940

Nino Antulov-Fantulin, Tian Guo and Fabrizio Lillo

Complexity traits and synchrony of cryptocurrencies price dynamics pp. 941-955

Davide Provenzano and Rodolfo Baggio

Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter? pp. 957-980

Lennart Ante and André Meyer

The rise and fall of cryptocurrency coins and tokens pp. 981-1014

Neil Gandal, J. T. Hamrick, Tyler Moore and Marie Vasek

Introduction to Special Issue on Energy Finance pp. 1015-1020

Loretta Mastroeni and Ralf Wunderlich

A deep learning model for gas storage optimization pp. 1021-1037

Nicolas Curin, Michael Kettler, Xi Kleisinger-Yu, Vlatka Komaric, Thomas Krabichler, Josef Teichmann and Hanna Wutte

Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis pp. 1039-1062

Carlo Mari and Emiliano Mari

A machine learning-based price state prediction model for agricultural commodities using external factors pp. 1063-1085

Prilly Oktoviany, Robert Knobloch and Ralf Korn

Fundamental ratios as predictors of ESG scores: a machine learning approach pp. 1087-1110

Valeria D’Amato, Rita D’Ecclesia and Susanna Levantesi

The impact of Clean Spark Spread expectations on storage hydropower generation pp. 1111-1146

Claudia Condemi, Loretta Mastroeni and Pierluigi Vellucci

Optimal switch from a fossil-fueled to an electric vehicle pp. 1147-1178

Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini and Maren Diane Schmeck

Optimal installation of renewable electricity sources: the case of Italy pp. 1179-1209

Almendra Awerkin and Tiziano Vargiolu

Responsible investments reduce market risks pp. 1211-1233

Giacomo Morelli and Rita D’Ecclesia

A new approach to wind power futures pricing pp. 1235-1252

Markus Hess

Correlating Lévy processes with self-decomposability: applications to energy markets pp. 1253-1280

Matteo Gardini, Piergiacomo Sabino and Emanuela Sasso

Volume 44, issue 1, 2021

Introduction to Special Issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management” pp. 1-4

Marcello Galeotti

An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour pp. 5-22

Fabio Baione, Davide Biancalana and Paolo Angelis

Reverse mortgages through artificial intelligence: new opportunities for the actuaries pp. 23-35

Emilia Lorenzo, Gabriella Piscopo, Marilena Sibillo and Roberto Tizzano

Modelling dynamic lapse with survival analysis and machine learning in CPI pp. 37-56

Marco Aleandri and Alessia Eletti

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate pp. 57-72

Ludovic Goudenège, Andrea Molent and Antonino Zanette

Challenges in approximating the Black and Scholes call formula with hyperbolic tangents pp. 73-100

Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela

Longevity risk and economic growth in sub-populations: evidence from Italy pp. 101-115

Giuseppina Bozzo, Susanna Levantesi and Massimiliano Menzietti

Heterogeneity and uncertainty in a multistate framework pp. 117-139

D. Tabakova and E. Pitacco

On the determinants of data breaches: A cointegration analysis pp. 141-160

Domenico Giovanni, Arturo Leccadito and Marco Pirra

Optimal annuitisation in a deterministic financial environment pp. 161-175

Griselda Deelstra, Pierre Devolder and Roberta Melis

Climate change management: a resilience strategy for flood risk using Blockchain tools pp. 177-190

Emanuele Vannucci, Andrea Jonathan Pagano and Francesco Romagnoli

Asian options with zero cost-of-carry: EEX options on freight and iron ore futures pp. 191-195

Espen Gaarder Haug

Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate pp. 197-214

Tahereh Khodamoradi, Maziar Salahi and Ali Reza Najafi

Managing liquidity with portfolio staleness pp. 215-239

Giuseppe Buccheri, Davide Pirino and Luca Trapin

Pricing basket default swaps using quasi-analytic techniques pp. 241-267

Nneka Umeorah, Phillip Mashele and Matthias Ehrhardt

Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints pp. 269-294

Marco Di Francesco

MURAME parameter setting for creditworthiness evaluation: data-driven optimization pp. 295-339

Marco Corazza, Giovanni Fasano, Stefania Funari and Riccardo Gusso

Delay two-sector economic growth model with a Cobb–Douglas production function pp. 341-358

Akio Matsumoto and Ferenc Szidarovszky

Wage bargaining as an optimal control problem: a dynamic version of the efficient bargaining model pp. 359-374

Marco Guerrazzi

Nonlinear optimal control of coupled time-delayed models of economic growth pp. 375-399

G. Rigatos, P. Siano, M. Abbaszadeh and Taniya Ghosh

Stochastic dominance efficient sets and stochastic spanning pp. 401-409

Stelios Arvanitis

Breaking ties in collective decision-making pp. 411-457

Daniela Bubboloni and Michele Gori

Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring pp. 459-483

Raffaella Coppier, Francesca Grassetti and Elisabetta Michetti